Why Has Taiwan Been Immune to the Asian Financial Crisis? |
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| Authors: | Chyong L Chen |
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| Institution: | (1) Department of Economics, Feng Chia University, Taichung, Taiwan |
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| Abstract: | This paper presents the reasons why Taiwan has been immune tothe Asian financial crisis. It shows that the purchasingpower parity theory applies to the N.T. dollar exchangerate and analyzes daily data on exchange rates andstock prices within the ARMA-GARCH regressionframework. Using the Granger causality test, it is shownthat the yen/U.S. dollar exchange rate caused the changein the N.T. dollar/U.S. dollar rate. |
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| Keywords: | ARMA-GARCH Bayesian procedure financial crisis Granger causality purchasing power parity |
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